Browsing by Author "Esekon, Joseph E"
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Analytic solution of a nonlinear Black-Scholes equation
Esekon, Joseph E (2016)We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs that lead to market illiq- uidity. After reducing the equation into a nonlinear parabolic porous ... -
Analytic solution of a nonlinear Black-Scholes equation with price slippage
Esekon, Joseph E (2016)We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction cost and a price slippage impact that lead to market illiquidity with feedback effects. After reducing the ... -
Analytic solution of a nonlinear Black-Scholes partial differential equation
Esekon, Joseph E (2016)We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of a feedback effect. This is an illiquid mar- ket effect arising from transaction costs. An analytic solution to the ... -
The black-Scholes formula and the Greek parameters for a nonlinear Black-Scholes equation
Esekon, Joseph E (2016)We study the Greek (risk) parameters of a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs. These parameters are derived from the Black-Scholes formula of the ... -
Greek parameters of nonlinear Black-Scholes equation
Esekon, Joseph E (2016)Derivatives are used in hedging European options against risks. The partial derivatives of the solution to either a variable or a parameter in the Black-Scholes model are called risk (Greek) parameters or simply the ... -
On Singular Cauchy Problem of Euler-Poisson- Darboux Equation
Esekon, Joseph E (2016)We solve the singular Cauchy problem of Euler-Poisson-Darboux equation. The Riemann function, a solution corresponding to the adjoint equation is calculated and it enables us to evaluate any solution at a point by the ... -
A particular solution of a nonlinear black-scholes partial differential equation
Esekon, Joseph E (2016)We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs that lead to market illiq- uidity. After reducing the equation into a nonlinear parabolic porous ... -
A put option's value for a nonlinear black-scholes equation
Esekon, Joseph E (2016)We study a nonlinear Black-Scholes partial differential equation for modelling illiquid markets with feedback effects. After reducing the equation into a second-order nonlinear partial differential equation, we find that ...